Existence of Equilibrium in Large Double Auctions
We show the existence of a pure strategy, symmetric, increasing equilibrium in double auction markets with correlated private valuations and many participants. The equilibrium we find is arbitrarily close to fully revealing as the market size grows. Our results provide strategic foundations for price-taking behavior in large markets.
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|Date of creation:||16 Nov 2010|
|Date of revision:|
|Publication status:||Published in Journal of Economic Theory, March 2007, vol. 133 no. 1, pp. 550-567|
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- Athey, Susan, 2001.
"Single Crossing Properties and the Existence of Pure Strategy Equilibria in Games of Incomplete Information,"
Econometric Society, vol. 69(4), pages 861-89, July.
- Athey, S., 1997. "Sigle Crossing Properties and the Existence of Pure Strategy Equilibria in Games of Incomplete Information," Working papers 97-11, Massachusetts Institute of Technology (MIT), Department of Economics.
- Martin W Cripps & Jeroen M Swinkels, 2003.
"Efficiency of Large Double Auctions,"
Levine's Working Paper Archive
666156000000000329, David K. Levine.
- Philip J. Reny, 1999. "On the Existence of Pure and Mixed Strategy Nash Equilibria in Discontinuous Games," Econometrica, Econometric Society, vol. 67(5), pages 1029-1056, September.
- Rustichini, Aldo & Satterthwaite, Mark A & Williams, Steven R, 1994.
"Convergence to Efficiency in a Simple Market with Incomplete Information,"
Econometric Society, vol. 62(5), pages 1041-63, September.
- Aldo Rustichini, 1992. "Convergence to Efficiency in a Simple Market with Incomplete Information," Discussion Papers 995, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- repec:bla:restud:v:56:y:1989:i:4:p:477-98 is not listed on IDEAS
- Matthew O. Jackson & Leo K. Simon & Jeroen M. Swinkels & William R. Zame, 2002. "Communication and Equilibrium in Discontinuous Games of Incomplete Information," Econometrica, Econometric Society, vol. 70(5), pages 1711-1740, September.
- Wilson, Robert B, 1985. "Incentive Efficiency of Double Auctions," Econometrica, Econometric Society, vol. 53(5), pages 1101-15, September.
- repec:bla:restud:v:58:y:1991:i:2:p:351-74 is not listed on IDEAS
- Jackson, Matthew O. & Jeroen Swinkels, 2004.
"Existence of Equilibrium in Single and Double Private Value Auctions,"
1192, California Institute of Technology, Division of the Humanities and Social Sciences.
- Matthew O. Jackson & Jeroen M. Swinkels, 2005. "Existence of Equilibrium in Single and Double Private Value Auctions," Econometrica, Econometric Society, vol. 73(1), pages 93-139, 01.
- repec:bla:restud:v:67:y:2000:i:3:p:439-54 is not listed on IDEAS
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